Finite volume method of option pricing model under uncertain volatility

DOI10.13413/J.CNKI.JDXBLXB.2019007MaRDI QIDQ3306598zbMATH OpenFDO

Authors Xiao-Ting Gan, Dengguo Xu, Renqing Zhao

Publication date 12 August 2020

Full work available at URL https://doi.org/10.13413/J.CNKI.JDXBLXB.2019007

zbMATH Keywords

finite volume methodHJB equationnumerical experimentuncertain volatility option model

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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